On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs

DOI10.1007/S10114-010-6573-5MaRDI QIDQ1958723zbMATH OpenOpenAlexFDO

Authors Jing-Min He, Rong Wu

Publication date 4 October 2010

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-010-6573-5

zbMATH Keywords

Gerber-Shiu discounted penalty functionpiecewise deterministic Markov processultimate ruin probabilityVolterra integral equation

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• Analysis of a defective renewal equation arising in ruin theory
• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• scientific article; zbMATH DE number 3125948 (Why is no real title available?)
• scientific article; zbMATH DE number 3901778 (Why is no real title available?)
• Martingales and insurance risk
• On the distribution of surplus immediately after ruin under interest force
• On the distribution of the surplus prior to ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• On the Time Value of Ruin
• Ruin estimates under interest force
• Ruin theory for the risk process described by PDMPs
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin

Cited in

(6)

• On the generalized Gerber-Shiu function for surplus processes with interest
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Expected discounted penalty function for a continuous-time compound binomial model:PDMP approach
• Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment
• On the Gerber-Shiu function and change of measure
• On a generalization of the Gerber-Shiu function to path-dependent penalties

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